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Full-Text Articles in Social and Behavioral Sciences
Geography, Industrial Organization, And Agglomeration Heteroskedasticity Models With Estimates Of The Variances Of Foreign Exchange Rates, Chihwa Kao
Center for Policy Research
This paper proposes a robust estimation procedure, the bounded influence estimate (BIS), which is robust against departure from the conditional normality of the autoregressive conditional heteroskedasticity (ARCH) models to describe the behavior of exchange rates. First, the BIE identifies the additive outliers (AO, e.g., Fox 1972) caused by abnormal information arrivals which may be triggered by changes in domestic policies and international shocks. Identification of outliers allows us to analyze the major economic and political factors that contribute directly to the dramatic changes in exchange rates. Second, the performance of the BIE is compared with the maximum likelihood estimate (MLE) …
Testing The Stability Of A Production Function With Urbanization As A Shift Factor: An Application Of Non-Stationary Panel Data Techniques, Suzanne Mccoskey, Chihwa Kao
Testing The Stability Of A Production Function With Urbanization As A Shift Factor: An Application Of Non-Stationary Panel Data Techniques, Suzanne Mccoskey, Chihwa Kao
Center for Policy Research
Urban economists have long sought to explain the relationship between urbanization levels and output. In this paper we revisit this question and test the long-run stability of a production function with urbanization using non-stationary panel data techniques. Our results show that a long-run relationship between urbanization output per worker and capital per worker cannot be rejected for either our sample of 30 developing countries or our sample of 22 developed countries. In addition, we estimate the long-run average effects on GDPW of urbanization and capital. These results offer newer insights and potential for dynamic urban models than the simple cross-section …